Head over to CMake download page and get a binary for your operating system, e.g. Windows, Linux, or Mac OS X. On Windows double click the binary to install. On Linux run the binary from a terminal.
On Linux, you can also install the packages from the distribution's package manager. On Ubuntu 16.04 you can install the command-line and graphical application with:
sudo apt-get install cmake
sudo apt-get install cmake-gui
On FreeBSD you can install the command-line and the Qt-based graphical application with:
pkg install cmake
pkg install cmake-gui
On Mac OSX, if you use one of the package managers available to install your software, the most notable being MacPorts (MacPorts) and Homebrew (Homebrew), you could also install CMake via one of them. For example, in case of MacPorts, typing the following
sudo port install cmake
will install CMake, while in case you use the Homebrew package manger you will type
brew install cmake
Once you have installed CMake you can check easily by doing the following
cmake --version
You should see something similar to the following
cmake version 3.5.1
CMake suite maintained and supported by Kitware (kitware.com/cmake).